黄秀海,滕清秀,李杰

• 1:浙江财经学院

摘要(Abstract)：

根据我国股市非市场化特点与股权分置改革的影响等问题,在股票市场价格严重失真情况下,运用非参数核估计方法,拟合股市的理论收益率指标,通过对比股市实际收益率指标显著性偏离关系,提出我国股市风险理论涵义与计量方法,并根据理论收益率的置信区间设计了区域性风险监管机制。实证显示:非参数核估计能够很好地估计股市理论收益率指标,准确地计量与监管我国股市风险动态变化情况。

关键词(KeyWords)： 股市风险;理论收益率;非参数核估计;置信区间;区域监管机制

Abstract:

Keywords:

基金项目(Foundation): 教育部人文社会科学研究规划基金项目(项目编号:08JA790118)

作者(Author): 黄秀海,滕清秀,李杰

DOI: 10.13269/j.cnki.ier.2010.02.010

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